If you're flying within a few days of a holiday, I would advise the more direct route. By adding a layover into your plans, you double your chances of missing a connection or having a flight cancelled.

While I would personally prefer to fly Delta, the risk of getting caught up in the mess of Thanksgiving travel would lead me to fly Southwest. And if you're flying Southwest, spend the money for the Earlybird Check-In. It's worth every penny.